Forecasting volatility in Chinese crude oil futures : insights from volatility-of-volatility and Markov regime-switching approaches
Year of publication: |
2024
|
---|---|
Authors: | Qiao, Gaoxiu ; Pan, Yijun ; Liang, Chao |
Subject: | Chinese crude oil futures | Markov regime-switching | Realized volatility | Volatility-of-volatility | Volatilität | Volatility | Markov-Kette | Markov chain | China | Prognoseverfahren | Forecasting model | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Ölpreis | Oil price | Schätzung | Estimation | ARCH-Modell | ARCH model |
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